yoyinflationoptionletvolatilitystructure.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2009 Chris Kenyon
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
#ifndef quantlib_yoy_optionlet_volatility_structures_hpp
#define quantlib_yoy_optionlet_volatility_structures_hpp
 
#include <ql/termstructures/voltermstructure.hpp>
#include <ql/termstructures/volatility/volatilitytype.hpp>
#include <ql/math/interpolation.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/quote.hpp>
 
namespace QuantLib {
 
    class YoYOptionletVolatilitySurface : public VolatilityTermStructure {
    public:
        YoYOptionletVolatilitySurface(Natural settlementDays,
                                      const Calendar&,
                                      BusinessDayConvention bdc,
                                      const DayCounter& dc,
                                      const Period& observationLag,
                                      Frequency frequency,
                                      bool indexIsInterpolated,
                                      VolatilityType volType = ShiftedLognormal,
                                      Real displacement = 0.0);
 
        ~YoYOptionletVolatilitySurface() override = default;
 
 
 
        Volatility volatility(const Date& maturityDate,
                              Rate strike,
                              const Period &obsLag = Period(-1,Days),
                              bool extrapolate = false) const;
        Volatility volatility(const Period& optionTenor,
                              Rate strike,
                              const Period &obsLag = Period(-1,Days),
                              bool extrapolate = false) const;
        Volatility volatility(Time time, Rate strike) const;
 
        virtual VolatilityType volatilityType() const { return volType_; }
        virtual Real displacement() const { return displacement_; }
 
 
        virtual Volatility totalVariance(const Date& exerciseDate,
                                         Rate strike,
                                         const Period &obsLag = Period(-1,Days),
                                         bool extrapolate = false) const;
        virtual Volatility totalVariance(const Period& optionTenor,
                                         Rate strike,
                                         const Period &obsLag = Period(-1,Days),
                                         bool extrapolate = false) const;
 
        virtual Period observationLag() const { return observationLag_; }
        virtual Frequency frequency() const { return frequency_; }
        virtual bool indexIsInterpolated() const { return indexIsInterpolated_; }
        virtual Date baseDate() const;
        virtual Time timeFromBase(const Date &date,
                                  const Period& obsLag = Period(-1,Days)) const;
 
 
 
        Real minStrike() const override = 0;
        Real maxStrike() const override = 0;
 
        // acts as zero time value for boostrapping
        virtual Volatility baseLevel() const {
            QL_REQUIRE(baseLevel_ != Null<Volatility>(),
                       "Base volatility, for baseDate(), not set.");
            return baseLevel_;
        }
 
    protected:
        virtual void checkRange(const Date &, Rate strike, bool extrapolate) const;
        virtual void checkRange(Time, Rate strike, bool extrapolate) const;
 
        virtual Volatility volatilityImpl(Time length,
                                          Rate strike) const = 0;
 
        // acts as zero time value for boostrapping
        virtual void setBaseLevel(Volatility v) { baseLevel_ = v; }
        mutable Volatility baseLevel_;
 
        // so you do not need an index
        Period observationLag_;
        Frequency frequency_;
        bool indexIsInterpolated_;
        VolatilityType volType_;
        Real displacement_;
    };
 
 
    class ConstantYoYOptionletVolatility
    : public YoYOptionletVolatilitySurface {
    public:
 
 
        ConstantYoYOptionletVolatility(Volatility v,
                                       Natural settlementDays,
                                       const Calendar&,
                                       BusinessDayConvention bdc,
                                       const DayCounter& dc,
                                       const Period& observationLag,
                                       Frequency frequency,
                                       bool indexIsInterpolated,
                                       Rate minStrike = -1.0,   // -100%
                                       Rate maxStrike = 100.0, // +10,000%
                                       VolatilityType volType = ShiftedLognormal,
                                       Real displacement = 0.0);
 
        // costructor taking a quote
        ConstantYoYOptionletVolatility(Handle<Quote> v,
                                       Natural settlementDays,
                                       const Calendar&,
                                       BusinessDayConvention bdc,
                                       const DayCounter& dc,
                                       const Period& observationLag,
                                       Frequency frequency,
                                       bool indexIsInterpolated,
                                       Rate minStrike = -1.0,  // -100%
                                       Rate maxStrike = 100.0, // +10,000%
                                       VolatilityType volType = ShiftedLognormal,
                                       Real displacement = 0.0);
 
 
        Date maxDate() const override { return Date::maxDate(); }
        Real minStrike() const override { return minStrike_; }
        Real maxStrike() const override { return maxStrike_; }
    protected:
      Volatility volatilityImpl(Time length, Rate strike) const override;
 
      Handle<Quote> volatility_;
      Rate minStrike_, maxStrike_;
    };
 
 
 
} // namespace QuantLib
 
#endif